US TSYS: Off Latest Highs But Holding A Breach Of TY Resistance
Nov-21 12:08
Treasuries have extended post-payroll gains as US equity futures consolidate yesterday’s heavy AI-driven losses, amidst heavy volumes even allowing for roll activity. Today’s scheduled focus will be on front-loaded Fedspeak from current year voters and November flash PMIs.
- Cash yields are 1.7-2.8bp lower on the day, with declines led by 7s.
- Curves modestly extend yesterday’s post-NFP steepening, with 5s30s at 108bps off a two-month high of 108.8bps earlier today.
- TYZ5 trades at 113-07+ (+11+) off an earlier high of 113-10+ that has comfortably cleared resistance at 113-02, an area of congestion since Nov 5. It marks a bullish development and opens 113-18+ (Oct 28 high), also cancelling a recent short-term bearish theme.
- Volumes are elevated at 610k, boosted by the quarterly roll (estimate at now more than 30% complete) but still ~500k allowing for that.
- Data: Real av earnings Sep (0830ET), S&P Global US PMIs Nov prelim (0945ET), U.Mich consumer survey Nov final (1000ET), KC Fed services Nov (1100ET)
- Fedspeak: Williams (0730ET), Collins (0800ET), Barr (0830ET), Miran (0830ET), Jefferson (0845ET), Logan (0900ET) – see FED bullet.
- Politics: Trump meets with NYC Mayor-Elect Mamdani (1500ET)
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Historical bullets
SOFR OPTIONS: BLOCK/Screen Update: Mar'26 SOFR Put Spread Buy
Oct-22 12:07
- Total 30,500 SFRH6 96.31/96.37 put spds, 1.5 vs. 96.625 to -.64/0.06%
FED: Fed Considering Smaller Capital Increases For Big Banks: Bloomberg
Oct-22 12:05
Latest source reporting from Bloomberg on US Bank capital proposals:
- "The Federal Reserve has shown other US regulators the outlines of a revised plan that would dramatically relax a Biden-era bank capital proposal for Wall Street’s largest lenders, according to people familiar with the matter."
- "Some officials have calculated that the terms of the Fed’s plan would lead to an increase of between about 3% and 7% in aggregate for most big banks, said the people, who asked not to be identified discussing the plans. Although there’s no specific projection in the outline, those estimates are lower than the 19% increase in the 2023 proposal and the 9% bump floated in a compromise version last year."
- "Lenders that have bigger trading portfolios could see less of an increase — or even a decrease — tied to the new requirement, said some of the people"
STIR: Repo Reference Rates: Rising Again
Oct-22 12:05
- Secured Overnight Financing Rate (SOFR): 4.23% (+0.07), volume: $2.957T
- Broad General Collateral Rate (BGCR): 4.21% (+0.09), volume: $1.163T
- Tri-Party General Collateral Rate (TCR): 4.21% (+0.09), volume: $1.132T
- (rate, volume levels reflect prior session)
